Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Ryan J. Davies"'
Autor:
Kathleen T. Hevert, Ryan J. Davies
Publikováno v:
The Quarterly Review of Economics and Finance. 76:105-114
Multi-year regulatory rate plans are becoming more common. An agreement to “stay out” of the rate revision process removes an option for the utility company or regulatory commission to request a modification to tariff rates in response to changes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d019fcc6d11caaf8b2e076082b3d4169
https://doi.org/10.1016/j.qref.2019.03.005
https://doi.org/10.1016/j.qref.2019.03.005
Publikováno v:
The Review of Financial Studies. 32:126-179
Dramatic microstructure changes in equity markets have made standard liquidity measures less accurate proxies for trading costs. We develop trade-time liquidity measures that reflect per-dollar price impacts of fixed-dollar volumes. Our measures bett
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7916cc17560a421ff156aed0a31b5cf1
https://doi.org/10.1093/rfs/hhy012
https://doi.org/10.1093/rfs/hhy012
Publikováno v:
Journal of Corporate Finance. 34:210-234
We examine a fund manager's alleged manipulation of platinum and palladium futures settlement prices. Using benchmarks from parallel electronic markets, we find that the manager's market-on-close trading causes significant settlement price artificial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8e416f87547ccc2122537ae8e7802a7b
https://doi.org/10.1016/j.jcorpfin.2015.07.011
https://doi.org/10.1016/j.jcorpfin.2015.07.011
Autor:
Ryan J. Davies, Erik R. Sirri
Publikováno v:
SSRN Electronic Journal.
We examine current areas of concern in the regulation of secondary trading markets, including questions concerning market fragmentation, protected orders, minimum tick size, maker-taker pricing models, transparency and dark liquidity, algorithmic and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb9bc124985e8421839a3254066c4d3b
https://doi.org/10.2139/ssrn.3012536
https://doi.org/10.2139/ssrn.3012536
Publikováno v:
Derivatives and Hedge Funds ISBN: 9781349558285
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dce5b7a2c972f75b037e321a7703b33f
https://doi.org/10.1057/9781137554178_3
https://doi.org/10.1057/9781137554178_3
Publikováno v:
SSRN Electronic Journal.
Traditional measures of stock liquidity have become noisier following dramatic changes in liquidity provision post decimalization. We develop stock-specific liquidity measures that control for short-term variations in liquidity supply and trading act
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d28c97569aa538ae691193cd90b24ff9
https://doi.org/10.2139/ssrn.2749732
https://doi.org/10.2139/ssrn.2749732
Publikováno v:
Journal of Derivatives & Hedge Funds. 15:91-115
This paper develops a technique for fund of hedge funds to allocate capital across different hedge fund strategies and traditional asset classes. Our adaptation of the polynomial goal programming optimisation method incorporates investor preferences
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::688ee9cb3c8b4f552780ab50853b9bc9
https://doi.org/10.1057/jdhf.2009.1
https://doi.org/10.1057/jdhf.2009.1
Autor:
Ryan J. Davies, Dan Bernhardt
Publikováno v:
Canadian Journal of Economics. 42:719-748
We develop a model of mutual fund manager investment decisions near the end of quarters. We show that when investors reward better performing funds with higher cash flows, near quarter-ends a mutual fund manager has an incentive to distort new invest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ea70d8865f091a0e26c108878141aedd
http://economics.ca/cgi/xms?jab=v42n2/CJEv42n2p0719.pdf
http://economics.ca/cgi/xms?jab=v42n2/CJEv42n2p0719.pdf
Publikováno v:
SSRN Electronic Journal.
We develop measures of stock-specific trading activity based on durations of sequences of consecutive trades with fixed cumulative values. Trade sizes and signed-trade imbalances rise with activity, while price impacts generally fall, but not always,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fe8658c8a864d92c96b10e178f437648
https://doi.org/10.2139/ssrn.2615823
https://doi.org/10.2139/ssrn.2615823
Autor:
Kathleen T. Hevert, Ryan J. Davies
Publikováno v:
SSRN Electronic Journal.
Multi-year regulatory rate plans are becoming more common. An agreement to "stay out" of the rate revision process removes an option for the utility company or regulatory commission to request a modification to tariff rates in response to changes in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd9b380430b094baa8b863470cd11617
https://doi.org/10.2139/ssrn.2698396
https://doi.org/10.2139/ssrn.2698396